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st: RE: hausman test


From   DE SOUZA Eric <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: hausman test
Date   Tue, 29 Mar 2011 17:14:16 +0200

Indeed, the Hausman test is not valid in your case. Download -xtoverid- by Schaffer and Stillman from within Stata. -ssc describe xtoverid- provides you with further information.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu



-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Sarah Hofmann
Sent: 29 March 2011 16:34
To: STATA Forum
Subject: st: hausman test

Dear Stata Users,

I have the following question concerning the hausman test comparin random effects and fixed effects:

I would like to carry out the hausman test but I have detected both serial correlation and heterskedasticity in the error terms. Therefore the test statistics of the normal hausman test should be invalid. 
Is there any possibility to deal with this problem?
Or can I carry out an alternative test?

Thank you for your help!

Sarah 
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